Lessons
- CFA Level 2: Fixed Income Part 1 – Introduction
- Principles of Credit Analysis
- High Yield Corporate Debt (aka Junk bonds)
- Analyzing Credit of Asset Backed Securities
- Analyzing Credit of Municipal Bonds
- Sovereign Debt
- Three Shapes of the Yield Curve
- Parallel and Non-parallel Shifts in Yield Curve
- Factors Driving Treasury Investment Returns and Bond Price Risk
- Yield Curve Construction with Treasuries
- LIBOR Swap Rate Curve
- Theories of the Term Structure of Interest Rates
- Key Rate Duration
- How to Calculate Interest Rate Volatility?
- Benchmark Yield Spreads
- Valuing an Option Embedded Bond using Binomial Interest Rate Tree
- How to Price Convertible Bonds?
Yield Curve Construction with Treasuries
The Treasury bond yield curve can be built from several different sources:
- On the Run Treasuries: This entails plotting the observed yields from the most recently issued Treasuries.
- On the Run + Selected Off the Run Treasuries: On the run issues may not cover the all time periods needed, particularly for longer maturities, so off the run issues may be incorporated into yield curve construction.
- All Treasuries: This is a complete picture of the yield curve, but some issues, such as those which are callable, would need to be excluded.
- Treasury Coupon STRIPS (separate trading of registered interest and principal securities): interest coupon STRIPS can be used to construct the yield curve, but this approach has the following deficiencies:
- Liquidity: Lower than liquidity of coupon paying bonds.
- U.S. Taxes: Tax treatment may be different for STRIPS.
- Foreign Taxes: Principal strips and coupon strips may be treated differently for taxation purposes in foreign countries.
Data Science in Finance: 9-Book Bundle
Master R and Python for financial data science with our comprehensive bundle of 9 ebooks.
What's Included:
- Getting Started with R
- R Programming for Data Science
- Data Visualization with R
- Financial Time Series Analysis with R
- Quantitative Trading Strategies with R
- Derivatives with R
- Credit Risk Modelling With R
- Python for Data Science
- Machine Learning in Finance using Python
Each book includes PDFs, explanations, instructions, data files, and R code for all examples.
Get the Bundle for $39 (Regular $57)JOIN 30,000 DATA PROFESSIONALS
Free Guides - Getting Started with R and Python
Enter your name and email address below and we will email you the guides for R programming and Python.